Displaying 3 results from an estimated 3 matches for "j_t".
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2012 Jul 12
0
Writing HAR-RV-CJ Model?
I am trying to write a loop to forecast realized volatility over successive
days for the purpose of VaR prediction using the HAR-RV-CJ model which is as
follows:
log(RV_t+1) = ?_0 + ?_CD log(CV_t) + ?_CW log(CV_t-5) + ?_CM
log(CV_t-22) + ?_JD log(J_t) + ?_JW J_t-5 + ?_JM J_t-22 + e_t
where RV is realized volatility, CV is continuous volatility and J is the
jump which is RV - CV, _t is subscript for time t, which is one day
basically I know how to compute ex post CV and J, and RV and have done in
another loop but need to forecast for half of m...
2012 Jul 12
0
HAR-RV-CJ Moedel
I am trying to write a loop to forecast realized volatility over successive
days for the purpose of VaR prediction using the HAR-RV-CJ model which is as
follows:
log(RV_t+1) = ?_0 + ?_CD log(CV_t) + ?_CW log(CV_t-5) + ?_CM
log(CV_t-22) + ?_JD log(J_t + 1) + ?_JW log(J_t-5 + 1) + ?_JM log(J_t-22 +
1) + e_t
where RV is realized volatility, CV is continuous volatility and J is the
jump which is RV - CV, _t is subscript for time t, which is one day
basically I know how to compute ex post CV and J, and RV and have done in
another loop but need to...
2012 Jul 19
1
Switching log(J) to log(J+1) to avoid log(0) in HAR-RVJ model
...= c(1,5,22), periodsJ=c(1), RVest =
c("RCov","RBPCov"),
type="HARRVJ", h=5, transform="log") ; # Estimate the HAR model
of type HARRVJ
The three HAR models on paper are:
1.?RV?_(t,t+h) = ?_0+ ?_D ?RV?_t+ ?_W ?RV?_(t-5)+ ?_M ?RV?_(t-22) + ?_J J_t
+ ?_(t,t+h) # NULL model in code at bottom
2. (RV?_(t,t+h) )^(1/2) = ?_0+ ?_D ??RV?_t?^(1/2)+ ?_W (?RV?_(t-5) )^(1/2)+
?_M (?RV?_(t-22) )^(1/2) + ?_J (? J?_t )^(1/2) + ?_(t,t+h)
3. log(RV?_(t,t+h) )= ?_0+ ?_D.log(?RV?_t )+ ?_W.log(?RV?_(t-5) )+
?_M.log(?RV?_(t-22) ) + ?_J log(J_t + 1) + ?...